Inputs

Database and Methods

new 02-08-2025

Preços

Cadastro

Managed Volatility

portfolio_name:
- beta_brasil

risk_target:
- ibovfut_av: 2
- brlusdfut_av: 1
- dif3yfut_av: 2

allocation method:
- vol

running allocation...

clusters_weights_resampled
smll_av brlusdfut_av dif3yfut_av
1998-12-31 0.511317 0.340248 0.478290
1999-01-28 0.494910 0.117648 0.437679
1999-02-25 0.492232 0.116226 0.442523
1999-03-25 0.480166 0.114722 0.442452
1999-04-29 0.483165 0.113492 0.441889
... ... ... ...
2025-03-27 0.609365 0.277898 0.492721
2025-04-24 0.588975 0.270443 0.490933
2025-05-29 0.588138 0.271228 0.500357
2025-06-26 0.591941 0.276001 0.518153
2025-07-31 0.576859 0.282246 0.526406

320 rows × 3 columns

clusters_weights
smll_av brlusdfut_av dif3yfut_av cdi
date
1998-12-31 0.511317 0.340248 0.478290 -0.329855
1999-01-01 0.511318 0.340247 0.478291 -0.329856
1999-01-04 0.507028 0.344513 0.475216 -0.326758
1999-01-05 0.503329 0.347161 0.473557 -0.324047
1999-01-06 0.501633 0.347617 0.473380 -0.322631
... ... ... ... ...
2025-07-28 0.583327 0.281609 0.528702 -0.393638
2025-07-29 0.580577 0.281181 0.528932 -0.390690
2025-07-30 0.584039 0.279832 0.524403 -0.388275
2025-07-31 0.576859 0.282246 0.526406 -0.385510
2025-08-01 0.572869 0.282854 0.527475 -0.383198

6937 rows × 4 columns

clusters_weights (pack_only)
dif3yfut usdbrlfut smal11_excdi cdi
date
1998-12-31 0.184039 -3.892852 0.000000 1.0
1999-01-01 0.190262 -3.950090 0.000000 1.0
1999-01-04 0.189039 -3.999551 0.000000 1.0
1999-01-05 0.188372 -4.012046 0.000000 1.0
1999-01-06 0.188271 -4.008558 0.000000 1.0
... ... ... ... ...
2025-07-28 1.052535 -0.254412 0.271806 1.0
2025-07-29 1.053655 -0.253965 0.273050 1.0
2025-07-30 1.044527 -0.253344 0.272807 1.0
2025-07-31 1.049492 -0.255533 0.257064 1.0
2025-08-01 1.056477 -0.256471 0.255167 1.0

6937 rows × 4 columns

securities_weights
dif3yfut usdbrlfut smal11_excdi cdi
date
1998-12-31 0.184039 -3.892852 0.000000 1.0
1999-01-01 0.190262 -3.950090 0.000000 1.0
1999-01-04 0.189039 -3.999551 0.000000 1.0
1999-01-05 0.188372 -4.012046 0.000000 1.0
1999-01-06 0.188271 -4.008558 0.000000 1.0
... ... ... ... ...
2025-07-28 1.052535 -0.254412 0.271806 1.0
2025-07-29 1.053655 -0.253965 0.273050 1.0
2025-07-30 1.044527 -0.253344 0.272807 1.0
2025-07-31 1.049492 -0.255533 0.257064 1.0
2025-08-01 1.056477 -0.256471 0.255167 1.0

6937 rows × 4 columns

cota_gross
date
1998-12-31     1.000000
1999-01-01     0.999997
1999-01-04     1.009145
1999-01-05     1.017254
1999-01-06     1.021389
                ...    
2025-07-28    22.930489
2025-07-29    23.098502
2025-07-30    23.237234
2025-07-31    22.978805
2025-08-01    23.112582
Length: 6937, dtype: float64
cota_net
date
1998-12-31     1.000000
1999-01-01     0.999997
1999-01-04     1.009143
1999-01-05     1.017253
1999-01-06     1.021387
                ...    
2025-07-28    22.830005
2025-07-29    22.997289
2025-07-30    23.135411
2025-07-31    22.878082
2025-08-01    23.011256
Length: 6937, dtype: float64
running sizing...

clusters_weights_resampled_sized
smll_av brlusdfut_av dif3yfut_av cdi
1998-12-31 NaN NaN NaN NaN
1999-01-28 0.049491 0.011765 0.043768 -0.005024
1999-01-29 0.496140 0.116992 0.437169 -0.050301
1999-02-25 0.492232 0.116226 0.442523 -0.050981
1999-03-25 0.480166 0.114722 0.442452 -0.037340
... ... ... ... ...
2025-03-27 0.609365 0.277898 0.492721 -0.379984
2025-04-24 0.588975 0.270443 0.490933 -0.350352
2025-05-29 0.588138 0.271228 0.500357 -0.359723
2025-06-26 0.591941 0.276001 0.518153 -0.386094
2025-07-31 0.576859 0.282246 0.526406 -0.385510

427 rows × 4 columns

clusters_weights_sized
smll_av brlusdfut_av dif3yfut_av cdi
date
1998-12-31 NaN NaN NaN 1.000000
1999-01-01 NaN NaN NaN 1.000000
1999-01-04 NaN NaN NaN 1.000000
1999-01-05 NaN NaN NaN 1.000000
1999-01-06 NaN NaN NaN 1.000000
... ... ... ... ...
2025-07-28 0.586142 0.282968 0.531253 -0.400362
2025-07-29 0.583485 0.282590 0.531581 -0.397657
2025-07-30 0.587075 0.281286 0.527129 -0.395490
2025-07-31 0.576859 0.282246 0.526406 -0.385510
2025-08-01 0.572990 0.282914 0.527586 -0.383490

6937 rows × 4 columns

clusters_weights_sized (pack_only)
dif3yfut usdbrlfut smal11_excdi cdi
date
1998-12-31 0.000000 0.000000 0.000000 1.0
1999-01-01 0.000000 0.000000 0.000000 1.0
1999-01-04 0.000000 0.000000 0.000000 1.0
1999-01-05 0.000000 0.000000 0.000000 1.0
1999-01-06 0.000000 0.000000 0.000000 1.0
... ... ... ... ...
2025-07-28 1.057614 -0.255640 0.273118 1.0
2025-07-29 1.058933 -0.255237 0.274417 1.0
2025-07-30 1.049956 -0.254660 0.274225 1.0
2025-07-31 1.049492 -0.255533 0.257064 1.0
2025-08-01 1.056700 -0.256525 0.255221 1.0

6937 rows × 4 columns

securities_weights
dif3yfut usdbrlfut smal11_excdi cdi
date
1998-12-31 0.000000 0.000000 0.000000 1.0
1999-01-01 0.000000 0.000000 0.000000 1.0
1999-01-04 0.000000 0.000000 0.000000 1.0
1999-01-05 0.000000 0.000000 0.000000 1.0
1999-01-06 0.000000 0.000000 0.000000 1.0
... ... ... ... ...
2025-07-28 1.057614 -0.255640 0.273118 1.0
2025-07-29 1.058933 -0.255237 0.274417 1.0
2025-07-30 1.049956 -0.254660 0.274225 1.0
2025-07-31 1.049492 -0.255533 0.257064 1.0
2025-08-01 1.056700 -0.256525 0.255221 1.0

6937 rows × 4 columns

cota_gross_sized
date
1998-12-31     1.000000
1999-01-01     1.000000
1999-01-04     1.001012
1999-01-05     1.002021
1999-01-06     1.003030
                ...    
2025-07-28    35.954939
2025-07-29    36.219557
2025-07-30    36.438086
2025-07-31    36.030636
2025-08-01    36.240397
Length: 6937, dtype: float64
cota_net_sized
date
1998-12-31     1.000000
1999-01-01     1.000000
1999-01-04     1.001012
1999-01-05     1.002021
1999-01-06     1.003030
                ...    
2025-07-28    35.557195
2025-07-29    35.818898
2025-07-30    36.035006
2025-07-31    35.632011
2025-08-01    35.839425
Length: 6937, dtype: float64
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 2.8 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 4.1
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.6 2.3 -0.7 3.6 3.6 4.0 -0.0 1.1 14.2 -3.1 4.6 4.5 35.7
2006 10.2 6.3 -1.6 2.1 -10.0 5.0 2.9 4.1 2.4 5.6 6.4 6.4 39.8
2007 -0.5 1.6 3.6 6.5 7.7 -0.7 -0.5 -7.4 5.1 2.8 -4.4 -1.2 12.6
2008 -2.2 4.4 -5.3 3.7 2.6 -4.0 4.2 -1.3 -9.5 -5.4 1.9 7.8 -3.1
2009 1.5 1.2 2.8 5.6 5.5 -0.1 4.2 2.2 2.8 0.2 3.2 2.9 32.0
2010 -0.8 3.7 1.5 -1.1 0.7 2.6 7.4 4.6 0.8 3.9 -2.8 2.9 23.4
2011 -7.1 3.5 2.5 3.6 2.1 -0.8 -3.0 7.1 -6.8 7.2 2.3 -4.5 6.1
2012 8.9 5.9 0.6 4.6 -3.9 4.2 1.8 3.3 1.9 4.1 -2.5 5.7 34.6
2013 -0.1 -1.5 -3.3 4.5 -9.6 -13.2 -0.7 -5.6 5.3 0.8 -3.5 -0.5 -27.4
2014 -5.5 4.5 2.4 1.9 3.6 2.0 -0.6 5.6 -9.9 -0.0 1.3 -4.7 0.6
2015 -0.7 -0.0 -3.0 2.6 0.5 -0.4 -2.0 -6.3 -4.2 2.4 -0.4 -1.5 -13.0
2016 0.9 3.8 8.6 5.1 -2.1 6.8 5.2 1.0 2.5 3.5 -3.3 2.7 34.7
2017 6.8 4.0 1.1 1.0 -3.5 0.7 5.9 3.0 2.4 -1.6 -0.9 3.4 22.3
2018 3.4 0.8 1.4 -0.5 -7.6 -3.7 4.5 -6.6 0.7 11.8 1.7 2.7 8.6
2019 5.9 -1.2 -0.5 0.8 3.4 6.0 3.6 -2.0 2.8 4.4 -1.7 6.3 27.8
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 2.8 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.7 2.9 -5.3 0.5 4.3
2023 1.9 -2.3 3.0 1.9 6.5 6.4 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.3
2024 -1.9 -0.4 0.3 -6.1 -0.5 -3.9 1.7 2.0 -1.3 -2.7 -5.2 -4.0 -22.0
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.4 -2.2 -8.3 -1.9 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -2.6
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.0 1.4 4.6 -11.7
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.7 2.9 -5.3 0.5 2.6
2023 1.9 -2.3 3.0 1.9 6.5 6.4 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.3
2024 -1.9 -0.4 0.3 -6.1 -0.5 -3.9 1.7 2.0 -1.3 -2.7 -5.2 -4.0 -22.0
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.6 2.3 -0.7 3.6 3.6 4.0 -0.1 1.1 12.5 -3.2 4.6 4.5 33.8
2006 10.2 6.4 -2.7 2.1 -10.4 4.9 2.9 4.1 2.4 5.6 6.4 6.4 38.3
2007 -0.5 1.6 3.6 6.5 7.7 -0.5 -1.2 -4.4 5.1 2.8 -4.4 -1.3 15.0
2008 -2.2 4.4 -5.4 3.7 2.6 -4.0 4.2 -1.3 -9.1 -5.4 1.9 7.8 -2.8
2009 1.5 1.2 2.8 5.6 5.5 -0.1 4.2 2.2 2.8 0.2 3.2 2.9 32.0
2010 -0.8 3.7 1.5 -1.1 0.4 2.6 7.4 4.6 0.8 3.9 -2.8 2.9 23.1
2011 -7.1 3.6 2.5 3.6 2.1 -0.8 -3.1 7.2 -3.8 5.8 2.3 -4.5 7.8
2012 8.9 6.0 0.6 4.6 -3.8 4.2 1.8 3.3 1.9 4.1 -2.5 5.7 34.8
2013 -0.1 -1.5 -3.4 4.5 -9.6 -7.4 -0.7 -5.5 5.3 0.8 -3.5 -0.5 -21.6
2014 -5.5 4.5 2.5 1.9 3.6 2.0 -0.6 5.6 -10.2 0.3 1.3 -4.7 0.7
2015 -0.8 -0.0 -3.0 2.6 0.5 -0.4 -2.0 -6.3 -4.2 2.4 -0.4 -1.5 -13.1
2016 0.9 3.8 8.6 5.1 -2.1 6.8 5.2 1.0 2.5 3.5 -3.3 2.7 34.7
2017 6.8 4.0 1.1 0.9 -3.5 0.7 5.9 3.1 2.4 -1.6 -0.9 3.5 22.4
2018 3.4 0.8 1.4 -0.5 -7.6 -1.8 4.3 -4.8 1.0 12.4 1.7 2.7 13.0
2019 5.9 -1.2 -0.5 0.8 3.4 6.0 3.6 -2.0 2.8 4.4 -1.7 6.4 27.9
2020 0.4 -2.2 -8.3 -1.9 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -2.6
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.0 1.4 4.6 -11.7
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.7 2.9 -5.3 0.5 2.6
2023 1.9 -2.3 3.0 1.9 6.5 6.4 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.3
2024 -1.9 -0.4 0.3 -6.1 -0.5 -3.9 1.7 2.0 -1.3 -2.7 -5.2 -4.0 -22.0
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
Total: 6.869233131408691
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 2.8 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 4.1
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.6 2.3 -0.7 3.6 3.6 4.0 -0.0 1.1 14.2 -3.1 4.6 4.5 35.7
2006 10.2 6.3 -1.6 2.1 -10.0 5.0 2.9 4.1 2.4 5.6 6.4 6.4 39.8
2007 -0.5 1.6 3.6 6.5 7.7 -0.7 -0.5 -7.4 5.1 2.8 -4.4 -1.2 12.6
2008 -2.2 4.4 -5.3 3.7 2.6 -4.0 4.2 -1.3 -9.5 -5.4 1.9 7.8 -3.1
2009 1.5 1.2 2.8 5.6 5.5 -0.1 4.2 2.2 2.8 0.2 3.2 2.9 32.0
2010 -0.8 3.7 1.5 -1.1 0.7 2.6 7.4 4.6 0.8 3.9 -2.8 2.9 23.4
2011 -7.1 3.5 2.5 3.6 2.1 -0.8 -3.0 7.1 -6.8 7.2 2.3 -4.5 6.1
2012 8.9 5.9 0.6 4.6 -3.9 4.2 1.8 3.3 1.9 4.1 -2.5 5.7 34.6
2013 -0.1 -1.5 -3.3 4.5 -9.6 -13.2 -0.7 -5.6 5.3 0.8 -3.5 -0.5 -27.4
2014 -5.5 4.5 2.4 1.9 3.6 2.0 -0.6 5.6 -9.9 -0.0 1.3 -4.7 0.6
2015 -0.7 -0.0 -3.0 2.6 0.5 -0.4 -2.0 -6.3 -4.2 2.4 -0.4 -1.5 -13.0
2016 0.9 3.8 8.6 5.1 -2.1 6.8 5.2 1.0 2.5 3.5 -3.3 2.7 34.7
2017 6.8 4.0 1.1 1.0 -3.5 0.7 5.9 3.0 2.4 -1.6 -0.9 3.4 22.3
2018 3.4 0.8 1.4 -0.5 -7.6 -3.7 4.5 -6.6 0.7 11.8 1.7 2.7 8.6
2019 5.9 -1.2 -0.5 0.8 3.4 6.0 3.6 -2.0 2.8 4.4 -1.7 6.3 27.8
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 0.6 – – – – 20.0
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.7 -2.0 2.2 -1.1 -0.3 1.9 1.2 4.5 -1.0 -1.5 -1.6 1.2 4.2
2023 -1.1 -0.0 2.3 0.7 7.5 5.3 1.1 -1.1 -0.2 -0.4 4.1 4.2 22.4
2024 -2.9 -1.6 -1.0 0.6 -0.2 2.7 -0.3 0.7 -1.7 2.4 1.2 1.2 1.1
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 3.7 2.6 -2.0 -1.5 1.3 2.8 2.8 -2.0 -1.0 -0.9 1.4 4.1 11.3
2021 -2.2 -0.2 -0.6 0.9 1.2 -0.5 -1.5 -0.2 0.9 0.2 0.3 1.9 0.2
2022 0.4 -2.0 2.2 -1.1 -0.3 1.9 1.2 4.5 -1.0 -1.5 -1.6 1.2 3.9
2023 -1.1 -0.0 2.3 0.7 7.5 5.3 1.1 -1.1 -0.2 -0.4 4.1 4.2 22.4
2024 -2.9 -1.6 -1.0 0.6 -0.2 2.7 -0.3 0.7 -1.7 2.4 1.2 1.2 1.1
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 0.0 0.8 -0.1 0.5 0.8 1.4 -0.6 -0.5 15.0 -5.7 1.2 7.8 20.6
2006 10.9 5.8 -3.4 -0.6 -2.0 2.3 2.6 2.8 2.1 5.7 8.4 7.9 42.5
2007 -2.1 0.8 2.1 7.5 7.4 -2.0 -1.1 -0.2 2.5 1.8 -1.3 0.3 15.7
2008 0.0 2.4 -1.6 1.6 2.3 -1.5 2.2 2.4 1.2 -0.1 2.0 10.1 21.0
2009 2.5 2.3 3.1 5.8 4.8 -1.2 3.3 2.7 2.3 0.5 3.7 2.5 32.3
2010 1.9 0.6 -0.1 -1.2 2.8 0.7 6.9 5.4 -0.9 3.2 -2.1 0.1 17.3
2011 -1.1 0.2 0.7 0.7 1.6 -1.1 -0.2 14.4 8.3 0.0 6.5 -4.3 25.7
2012 3.3 5.6 3.8 9.2 6.0 1.9 1.2 2.0 1.8 5.2 0.5 3.2 43.7
2013 -2.1 -0.2 -0.4 0.3 1.5 1.1 0.5 0.4 0.7 -0.2 -0.3 0.4 1.7
2014 0.4 0.9 0.6 0.2 4.0 1.0 0.8 4.1 -1.7 -1.2 2.4 -0.8 10.7
2015 1.7 2.1 2.6 -0.5 1.6 -1.9 1.9 0.9 2.3 0.2 -0.4 -0.0 10.5
2016 2.9 1.7 7.7 4.7 -1.6 0.5 6.6 -0.0 0.7 3.4 -2.2 0.9 25.3
2017 6.4 4.2 0.6 0.0 -10.0 0.8 5.1 3.8 3.0 -1.0 -1.0 2.2 14.1
2018 2.6 1.2 1.9 1.4 0.6 1.3 0.4 1.0 0.5 9.7 3.4 2.3 26.3
2019 5.7 -1.5 -0.4 -0.4 3.6 7.1 4.2 0.5 3.4 3.6 0.3 5.1 31.2
2020 3.7 2.6 -2.0 -1.5 1.3 2.8 2.8 -2.0 -1.0 -0.9 1.4 4.1 11.3
2021 -2.2 -0.2 -0.6 0.9 1.2 -0.5 -1.5 -0.2 0.9 0.2 0.3 1.9 0.2
2022 0.4 -2.0 2.2 -1.1 -0.3 1.9 1.2 4.5 -1.0 -1.5 -1.6 1.2 3.9
2023 -1.1 -0.0 2.3 0.7 7.5 5.3 1.1 -1.1 -0.2 -0.4 4.1 4.2 22.4
2024 -2.9 -1.6 -1.0 0.6 -0.2 2.7 -0.3 0.7 -1.7 2.4 1.2 1.2 1.1
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.3 – – – – -0.9
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 1.7 -1.2 2.6 1.7 0.4 8.9 -0.0 1.8 -3.8 -4.8 4.3 1.6 13.2
2023 -2.5 2.5 2.4 -0.0 5.6 5.6 1.2 -0.1 1.7 3.4 -0.1 4.5 24.2
2024 -3.9 -2.6 -2.4 7.5 0.9 6.3 -3.1 -0.9 1.2 4.8 6.9 9.0 23.7
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.3 – – – – -0.9
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 2.4 4.6 3.8 -3.9 0.8 1.8 2.8 -3.3 0.1 -0.7 0.3 4.2 12.9
2021 -3.0 1.7 -1.9 -0.4 1.6 0.6 0.2 4.1 5.1 11.3 -1.2 -1.5 16.6
2022 2.6 -1.2 2.6 1.7 0.4 8.9 -0.0 1.8 -3.8 -4.8 4.3 1.6 14.1
2023 -2.5 2.5 2.4 -0.0 5.6 5.6 1.2 -0.1 1.7 3.4 -0.1 4.5 24.2
2024 -3.9 -2.6 -2.4 7.5 0.9 6.3 -3.1 -0.9 1.2 4.8 6.9 9.0 23.7
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.3 – – – – -0.9
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 0.6 0.4 -0.2 1.3 1.5 1.6 -1.4 -1.0 15.3 -6.3 -0.8 6.2 17.2
2006 12.5 6.2 -4.4 -0.5 4.2 0.7 1.7 1.8 0.9 5.2 7.8 8.5 44.6
2007 -2.3 0.1 2.0 7.4 9.3 -2.7 1.1 6.2 1.8 4.2 2.0 3.2 32.3
2008 3.9 1.3 2.9 1.3 2.9 4.7 0.8 4.8 7.7 5.0 0.7 10.1 46.1
2009 4.3 2.4 4.0 6.8 6.7 -1.3 3.3 2.3 4.0 1.5 3.6 1.8 39.4
2010 1.0 -1.0 -0.7 1.2 1.9 -0.7 5.8 5.2 0.4 1.2 -0.2 -0.6 13.5
2011 8.5 -3.2 0.4 0.4 0.9 1.4 5.6 16.7 9.6 -1.7 5.5 -4.3 39.8
2012 2.2 5.7 1.8 8.5 13.4 -0.6 -0.6 1.0 1.6 5.3 -0.1 4.0 42.2
2013 0.1 3.2 1.6 -3.6 7.8 16.4 0.4 3.4 -1.2 -1.6 1.6 1.2 29.3
2014 7.8 -1.0 1.1 -0.2 3.4 1.1 1.6 2.3 4.0 -2.4 1.6 4.5 23.8
2015 3.8 1.4 4.1 -1.5 0.6 -0.9 1.9 9.1 6.8 -0.9 -0.3 2.2 26.3
2016 5.0 -0.9 8.2 4.3 -1.8 -1.6 6.2 -0.3 -1.5 3.7 -2.5 0.8 19.6
2017 5.7 4.1 0.1 -1.4 -15.8 0.5 5.8 3.4 2.8 -1.2 -0.4 -0.4 3.2
2018 3.2 0.5 1.1 -0.2 8.1 5.8 -3.0 6.1 0.4 8.3 2.4 0.9 33.6
2019 7.0 -2.5 -2.4 -1.9 2.7 7.4 4.1 -0.9 2.7 3.3 -0.0 5.4 24.9
2020 2.4 4.6 3.8 -3.9 0.8 1.8 2.8 -3.3 0.1 -0.7 0.3 4.2 12.9
2021 -3.0 1.7 -1.9 -0.4 1.6 0.6 0.2 4.1 5.1 11.3 -1.2 -1.5 16.6
2022 2.6 -1.2 2.6 1.7 0.4 8.9 -0.0 1.8 -3.8 -4.8 4.3 1.6 14.1
2023 -2.5 2.5 2.4 -0.0 5.6 5.6 1.2 -0.1 1.7 3.4 -0.1 4.5 24.2
2024 -3.9 -2.6 -2.4 7.5 0.9 6.3 -3.1 -0.9 1.2 4.8 6.9 9.0 23.7
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.3 – – – – -0.9
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.1 – – – – 5.7
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 1.0 -1.1 2.5 -0.5 0.8 2.0 1.2 1.9 -2.8 -2.1 -0.6 1.2 3.5
2023 -0.5 0.7 2.1 0.9 6.2 5.5 0.6 -0.7 0.9 0.5 3.4 4.4 24.0
2024 -3.0 -1.3 -0.9 0.8 0.3 2.8 -0.7 0.1 -0.5 2.4 2.0 1.6 3.6
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.1 – – – – 5.7
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 3.0 3.2 -1.4 -1.5 0.8 2.1 3.0 -2.2 -0.1 -1.0 2.1 3.8 11.8
2021 -1.9 -0.5 -0.5 0.3 0.9 0.3 -1.0 0.2 0.9 1.1 0.3 0.3 0.4
2022 0.9 -1.1 2.5 -0.5 0.8 2.0 1.2 1.9 -2.8 -2.1 -0.6 1.2 3.4
2023 -0.5 0.7 2.1 0.9 6.2 5.5 0.6 -0.7 0.9 0.5 3.4 4.4 24.0
2024 -3.0 -1.3 -0.9 0.8 0.3 2.8 -0.7 0.1 -0.5 2.4 2.0 1.6 3.6
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.1 – – – – 5.7
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.1 1.1 0.6 1.4 1.5 2.2 -0.0 0.2 15.3 -4.3 -0.2 6.5 25.4
2006 11.1 6.2 -2.8 -1.8 0.0 1.6 2.7 2.6 1.8 5.2 8.1 7.9 42.6
2007 -1.9 0.8 2.0 6.8 7.3 -1.7 0.6 0.9 1.9 1.3 -0.3 0.6 18.3
2008 0.4 1.2 -1.1 0.7 3.2 -0.4 1.1 1.4 3.0 2.0 1.7 9.8 23.0
2009 2.2 1.7 3.0 6.4 4.5 -1.1 2.5 2.5 2.6 1.6 3.5 2.6 32.0
2010 1.8 0.2 -0.5 0.6 1.8 0.8 5.7 5.6 -0.4 2.2 -0.6 0.9 18.1
2011 -0.4 0.8 1.1 0.7 1.4 -0.1 0.7 13.2 6.9 -1.2 6.3 -3.8 25.6
2012 2.6 4.9 2.1 8.9 5.8 1.2 0.7 1.3 1.8 5.1 -0.3 3.6 37.7
2013 -1.6 0.3 0.8 0.6 1.9 -1.0 0.8 0.2 0.9 0.1 -0.0 1.0 4.0
2014 0.7 0.2 0.7 0.1 3.2 1.0 1.4 3.5 1.6 -0.7 1.9 0.3 13.9
2015 0.6 2.1 3.2 -0.5 1.0 -0.1 1.1 1.3 1.8 0.3 0.3 0.2 11.3
2016 1.7 1.5 7.3 3.6 -1.6 0.5 6.2 0.2 -0.1 3.4 -1.2 1.4 22.9
2017 6.0 3.9 0.6 -0.7 -9.9 0.9 4.5 3.7 2.8 -1.2 0.1 1.8 12.5
2018 2.4 1.2 1.8 0.8 2.5 1.3 -1.3 2.0 0.1 8.9 2.4 1.1 23.2
2019 6.1 -2.1 -0.2 -1.1 3.3 7.3 4.3 -0.2 2.7 3.7 0.2 5.2 29.2
2020 3.0 3.2 -1.4 -1.5 0.8 2.1 3.0 -2.2 -0.1 -1.0 2.1 3.8 11.8
2021 -1.9 -0.5 -0.5 0.3 0.9 0.3 -1.0 0.2 0.9 1.1 0.3 0.3 0.4
2022 0.9 -1.1 2.5 -0.5 0.8 2.0 1.2 1.9 -2.8 -2.1 -0.6 1.2 3.4
2023 -0.5 0.7 2.1 0.9 6.2 5.5 0.6 -0.7 0.9 0.5 3.4 4.4 24.0
2024 -3.0 -1.3 -0.9 0.8 0.3 2.8 -0.7 0.1 -0.5 2.4 2.0 1.6 3.6
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.1 – – – – 5.7
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.1 – – – – 1.2
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 1.4 0.7 1.0 3.1 0.7 7.9 -0.2 1.0 0.1 -1.7 6.1 1.5 21.6
2023 -0.9 2.7 1.5 -0.1 0.6 1.2 1.7 1.7 1.7 3.9 -2.6 1.0 12.4
2024 0.1 -0.6 -0.7 7.6 1.4 4.2 -1.6 -0.1 2.6 3.3 5.7 8.4 30.3
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.1 – – – – 1.2
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 -0.3 1.7 5.6 -2.1 0.2 -0.1 -0.1 -1.0 0.4 0.5 -1.6 0.5 3.7
2021 -1.0 2.3 -1.2 -0.5 0.9 0.5 1.5 4.4 4.6 10.7 -0.9 -1.0 20.3
2022 2.4 0.7 1.0 3.1 0.7 7.9 -0.2 1.0 0.1 -1.7 6.1 1.5 22.6
2023 -0.9 2.7 1.5 -0.1 0.6 1.2 1.7 1.7 1.7 3.9 -2.6 1.0 12.4
2024 0.1 -0.6 -0.7 7.6 1.4 4.2 -1.6 -0.1 2.6 3.3 5.7 8.4 30.3
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.1 – – – – 1.2
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 0.9 0.4 0.7 1.3 1.5 0.9 0.1 0.5 1.5 -0.8 0.8 1.2 9.0
2006 2.7 1.1 -0.2 2.4 5.6 0.3 0.2 0.5 0.1 1.1 0.7 1.6 16.1
2007 0.7 0.2 1.0 1.5 2.9 -0.1 1.4 6.4 0.7 3.7 3.1 3.4 24.9
2008 4.5 0.8 4.9 1.5 0.5 6.1 0.8 4.4 5.8 4.3 0.1 1.4 35.1
2009 3.0 1.5 2.0 1.2 2.9 0.5 1.6 0.5 2.0 0.6 0.8 -0.1 16.5
2010 -0.1 -0.6 0.5 1.3 0.9 -0.7 0.9 0.5 1.6 -0.1 1.3 -0.5 5.0
2011 9.9 -3.2 0.3 0.5 0.5 2.4 5.8 4.3 3.6 0.4 0.1 0.4 25.0
2012 0.5 1.5 0.4 0.3 7.9 -1.2 -0.6 0.4 0.3 0.8 0.8 0.9 12.0
2013 2.3 3.4 1.4 -3.5 6.5 18.3 0.3 3.9 -1.4 -0.9 2.4 1.0 33.7
2014 8.0 -0.4 1.2 0.5 1.0 0.9 1.2 -0.3 3.3 -0.8 0.6 5.3 20.5
2015 4.2 0.1 1.9 -0.1 0.6 0.3 2.0 8.8 6.2 -0.1 0.4 3.2 27.5
2016 4.4 -1.4 2.0 1.7 0.9 -0.9 1.1 0.8 -0.3 1.3 -0.3 0.5 9.8
2017 0.8 1.1 0.6 0.0 -5.3 0.4 2.0 0.5 0.6 0.6 0.0 -1.7 -0.4
2018 1.4 -0.3 -0.2 -0.4 6.0 5.1 -1.2 4.7 0.8 0.0 0.5 0.3 16.7
2019 1.4 0.1 -1.7 -0.2 -0.1 0.6 0.4 -0.2 0.4 0.1 0.1 0.5 1.4
2020 -0.3 1.7 5.6 -2.1 0.2 -0.1 -0.1 -1.0 0.4 0.5 -1.6 0.5 3.7
2021 -1.0 2.3 -1.2 -0.5 0.9 0.5 1.5 4.4 4.6 10.7 -0.9 -1.0 20.3
2022 2.4 0.7 1.0 3.1 0.7 7.9 -0.2 1.0 0.1 -1.7 6.1 1.5 22.6
2023 -0.9 2.7 1.5 -0.1 0.6 1.2 1.7 1.7 1.7 3.9 -2.6 1.0 12.4
2024 0.1 -0.6 -0.7 7.6 1.4 4.2 -1.6 -0.1 2.6 3.3 5.7 8.4 30.3
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.1 – – – – 1.2
portfolio_name:
- alfa

risk_target:
- ls: 0.75
- beta_brasil: 0.25

allocation method:
- vol

running allocation...

clusters_weights_resampled
ls beta_brasil_timing
2006-12-28 1.067199 0.233592
2007-01-25 1.128210 0.239233
2007-02-22 1.135045 0.243439
2007-03-29 1.127801 0.247741
2007-04-26 1.137801 0.253548
... ... ...
2025-03-27 1.032208 0.256183
2025-04-24 1.039285 0.260786
2025-05-29 1.044752 0.271251
2025-06-26 1.067144 0.278868
2025-07-31 1.071044 0.280263

224 rows × 2 columns

clusters_weights
ls beta_brasil_timing cdi
date
2006-12-28 1.067199 0.233592 -0.300791
2006-12-29 1.067089 0.233671 -0.300760
2007-01-01 1.067089 0.233671 -0.300760
2007-01-02 1.068669 0.228361 -0.297030
2007-01-03 1.069612 0.228170 -0.297783
... ... ... ...
2025-07-28 1.062798 0.280280 -0.343078
2025-07-29 1.062554 0.278615 -0.341169
2025-07-30 1.065097 0.273674 -0.338771
2025-07-31 1.071044 0.280263 -0.351307
2025-08-01 1.071551 0.278635 -0.350186

4852 rows × 3 columns

clusters_weights (pack_only)
dif3yfut usdbrlfut ls new smal11_excdi cdi
date
2006-12-28 0.379073 -0.057637 1.067199 0.158242 -0.067199
2006-12-29 0.379069 -0.080186 1.067089 0.158240 -0.067089
2007-01-01 0.379072 -0.080262 1.067089 0.158240 -0.067089
2007-01-02 0.376127 -0.079267 1.068669 0.129677 -0.068669
2007-01-03 0.376774 -0.049468 1.069612 0.050221 -0.069612
... ... ... ... ... ...
2025-07-28 0.018114 -0.034809 1.062798 -0.106655 -0.062798
2025-07-29 0.352406 -0.008635 1.062554 -0.106506 -0.062554
2025-07-30 0.331968 -0.014368 1.065097 -0.104524 -0.065097
2025-07-31 -0.231179 0.036939 1.071044 -0.100864 -0.071044
2025-08-01 0.283106 -0.039492 1.071551 -0.099538 -0.071551

4852 rows × 5 columns

securities_weights
bees3 sdia4 sled4 brsr6 klbn4 hype3 ngrd3 scar3 goll54 cbav3 ... ggbr4 bbdc4 smft3 bpan4 brpr3 engi11 aedu11 rumo3 espa3 cdi
date
2006-12-28 0.0 -0.054611 0.0 0.000000 -0.005663 0.000000 0.0 0.0 0.011182 0.000000 ... 0.052012 -0.032184 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 0.452214
2006-12-29 0.0 -0.054605 0.0 0.000000 -0.005662 0.000000 0.0 0.0 0.011180 0.000000 ... 0.052007 -0.032180 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 0.452270
2007-01-01 0.0 -0.054605 0.0 0.000000 -0.005662 0.000000 0.0 0.0 0.011180 0.000000 ... 0.052007 -0.032180 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 0.452270
2007-01-02 0.0 -0.046128 0.0 0.000000 -0.003861 0.000000 0.0 0.0 -0.008982 0.000000 ... 0.036482 -0.032250 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 0.623552
2007-01-03 0.0 -0.046686 0.0 0.000000 -0.003784 0.000000 0.0 0.0 -0.008808 0.000000 ... 0.035670 -0.032126 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 0.624650
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 0.000000 0.0 0.021973 0.000000 -0.027453 0.0 0.0 0.000000 0.005690 ... 0.001109 -0.001744 0.004051 0.004478 0.0 0.013582 0.0 0.0 0.0 1.107373
2025-07-29 0.0 0.000000 0.0 0.021688 0.000000 -0.027224 0.0 0.0 0.000000 0.005633 ... 0.001097 -0.001731 0.004009 0.004465 0.0 0.013768 0.0 0.0 0.0 1.101639
2025-07-30 0.0 0.000000 0.0 0.021812 0.000000 -0.027281 0.0 0.0 0.000000 0.005629 ... 0.001107 -0.001746 0.004039 0.004456 0.0 0.013853 0.0 0.0 0.0 1.091447
2025-07-31 0.0 0.000000 0.0 0.021906 0.000000 -0.026978 0.0 0.0 0.000000 0.005638 ... 0.001100 -0.001734 0.003973 0.004451 0.0 0.013713 0.0 0.0 0.0 1.087953
2025-08-01 0.0 0.000000 0.0 0.023342 0.000000 -0.021519 0.0 0.0 0.000000 0.010686 ... -0.003138 -0.003019 -0.006176 0.006294 0.0 -0.000181 0.0 0.0 0.0 1.185490

4852 rows × 369 columns

cota_gross
date
2006-12-28      1.000000
2006-12-29      0.999955
2007-01-01      0.999955
2007-01-02      1.012364
2007-01-03      1.009658
                 ...    
2025-07-28    610.375464
2025-07-29    613.675848
2025-07-30    617.903646
2025-07-31    620.944292
2025-08-01    622.813180
Length: 4852, dtype: float64
cota_net
date
2006-12-28      1.000000
2006-12-29      0.999955
2007-01-01      0.999955
2007-01-02      1.012363
2007-01-03      1.009657
                 ...    
2025-07-28    609.590532
2025-07-29    612.886827
2025-07-30    617.108568
2025-07-31    620.145514
2025-08-01    622.011960
Length: 4852, dtype: float64
running sizing...

clusters_weights_resampled_sized
ls beta_brasil_timing cdi
2006-12-28 NaN NaN NaN
2007-01-25 0.112821 0.023923 -0.036744
2007-01-26 1.128523 0.234420 -0.362943
2007-02-22 1.135045 0.243439 -0.378484
2007-03-29 1.127801 0.247741 -0.375542
... ... ... ...
2025-03-27 1.032208 0.256183 -0.288391
2025-04-24 1.039285 0.260786 -0.300071
2025-05-29 1.044752 0.271251 -0.316003
2025-06-26 1.067144 0.278868 -0.346012
2025-07-31 1.071044 0.280263 -0.351307

291 rows × 3 columns

clusters_weights_sized
ls beta_brasil_timing cdi
date
2006-12-28 NaN NaN 1.000000
2006-12-29 NaN NaN 1.000000
2007-01-01 NaN NaN 1.000000
2007-01-02 NaN NaN 1.000000
2007-01-03 NaN NaN 1.000000
... ... ... ...
2025-07-28 1.067265 0.281458 -0.348723
2025-07-29 1.067199 0.279833 -0.347032
2025-07-30 1.069924 0.274914 -0.344838
2025-07-31 1.071044 0.280263 -0.351307
2025-08-01 1.071758 0.278688 -0.350446

4852 rows × 3 columns

clusters_weights_sized (pack_only)
dif3yfut usdbrlfut ls new smal11_excdi cdi
date
2006-12-28 0.000000 0.000000 0.000000 0.000000 1.000000
2006-12-29 0.000000 0.000000 0.000000 0.000000 1.000000
2007-01-01 0.000000 0.000000 0.000000 0.000000 1.000000
2007-01-02 0.000000 0.000000 0.000000 0.000000 1.000000
2007-01-03 0.000000 0.000000 0.000000 0.000000 1.000000
... ... ... ... ... ...
2025-07-28 0.018190 -0.034955 1.067265 -0.107103 -0.067265
2025-07-29 0.353946 -0.008673 1.067199 -0.106972 -0.067199
2025-07-30 0.333472 -0.014434 1.069924 -0.104998 -0.069924
2025-07-31 -0.231179 0.036939 1.071044 -0.100864 -0.071044
2025-08-01 0.283161 -0.039500 1.071758 -0.099557 -0.071758

4852 rows × 5 columns

securities_weights
bees3 sdia4 sled4 brsr6 klbn4 hype3 ngrd3 scar3 goll54 cbav3 ... ggbr4 bbdc4 smft3 bpan4 brpr3 engi11 aedu11 rumo3 espa3 cdi
date
2006-12-28 0.0 0.0 0.0 0.000000 0.0 0.000000 0.0 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 1.000000
2006-12-29 0.0 0.0 0.0 0.000000 0.0 0.000000 0.0 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 1.000000
2007-01-01 0.0 0.0 0.0 0.000000 0.0 0.000000 0.0 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 1.000000
2007-01-02 0.0 0.0 0.0 0.000000 0.0 0.000000 0.0 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 1.000000
2007-01-03 0.0 0.0 0.0 0.000000 0.0 0.000000 0.0 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 0.0 1.000000
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 0.0 0.0 0.022065 0.0 -0.027568 0.0 0.0 0.0 0.005713 ... 0.001114 -0.001751 0.004068 0.004497 0.0 0.013639 0.0 0.0 0.0 1.107825
2025-07-29 0.0 0.0 0.0 0.021782 0.0 -0.027343 0.0 0.0 0.0 0.005658 ... 0.001102 -0.001738 0.004026 0.004484 0.0 0.013828 0.0 0.0 0.0 1.102083
2025-07-30 0.0 0.0 0.0 0.021911 0.0 -0.027405 0.0 0.0 0.0 0.005655 ... 0.001112 -0.001754 0.004058 0.004476 0.0 0.013916 0.0 0.0 0.0 1.091861
2025-07-31 0.0 0.0 0.0 0.021906 0.0 -0.026978 0.0 0.0 0.0 0.005638 ... 0.001100 -0.001734 0.003973 0.004451 0.0 0.013713 0.0 0.0 0.0 1.087953
2025-08-01 0.0 0.0 0.0 0.023347 0.0 -0.021523 0.0 0.0 0.0 0.010688 ... -0.003138 -0.003020 -0.006178 0.006295 0.0 -0.000181 0.0 0.0 0.0 1.185526

4852 rows × 369 columns

cota_gross_sized
date
2006-12-28      1.000000
2006-12-29      1.000491
2007-01-01      1.000491
2007-01-02      1.000983
2007-01-03      1.001474
                 ...    
2025-07-28    504.546846
2025-07-29    507.285298
2025-07-30    510.794194
2025-07-31    513.317879
2025-08-01    514.862838
Length: 4852, dtype: float64
cota_net_sized
date
2006-12-28      1.000000
2006-12-29      1.000491
2007-01-01      1.000491
2007-01-02      1.000983
2007-01-03      1.001474
                 ...    
2025-07-28    503.206616
2025-07-29    505.937923
2025-07-30    509.436989
2025-07-31    511.954110
2025-08-01    513.494935
Length: 4852, dtype: float64
portfolio_name:
- beta_global

risk_target:
- equity_av: 1
- ust10yfut_av: 1
- xaufut_av: 1
- btcfut_av: 1

allocation method:
- vol

running allocation...

clusters_weights_resampled
equity_av ust10yfut_av xaufut_av btcfut_av
2014-12-25 0.506694 0.629430 0.639895 0.833328
2015-01-29 0.527125 0.627605 0.618857 0.743848
2015-02-26 0.525528 0.600916 0.596878 0.844805
2015-03-26 0.508952 0.584721 0.593216 0.830438
2015-04-30 0.500104 0.566053 0.563572 0.866679
... ... ... ... ...
2025-03-27 0.431603 0.518505 0.439478 0.470872
2025-04-24 0.412581 0.514205 0.426734 0.466285
2025-05-29 0.431313 0.532560 0.451052 0.498544
2025-06-26 0.442269 0.558364 0.471205 0.512533
2025-07-31 0.453474 0.569482 0.477270 0.532397

128 rows × 4 columns

clusters_weights
equity_av ust10yfut_av xaufut_av btcfut_av cdi
date
2014-12-25 0.506694 0.629430 0.639895 0.833328 -1.609348
2014-12-26 0.501810 0.622729 0.639342 0.827191 -1.591072
2014-12-29 0.503854 0.625184 0.635641 0.821225 -1.585904
2014-12-30 0.499630 0.623559 0.637047 0.815446 -1.575682
2014-12-31 0.500371 0.626420 0.634307 0.821131 -1.582229
... ... ... ... ... ...
2025-07-28 0.429974 0.546316 0.471601 0.522326 -0.970216
2025-07-29 0.427849 0.545695 0.468647 0.517437 -0.959627
2025-07-30 0.432860 0.545408 0.465306 0.520434 -0.964008
2025-07-31 0.453474 0.569482 0.477270 0.532397 -1.032623
2025-08-01 0.446957 0.570957 0.477115 0.521489 -1.016518

2767 rows × 5 columns

clusters_weights (pack_only)
spx_brl_hedged btcusd_brl_hedged xauusd_brl_hedged ust10y lo_timing new cdi
date
2014-12-25 0.134283 0.086344 0.293561 1.433161 0.163188 -1.110538
2014-12-26 0.134617 0.085707 0.293588 1.418122 0.170841 -1.102876
2014-12-29 0.138568 0.085082 0.308750 1.451515 0.172205 -1.156119
2014-12-30 0.137058 0.084992 0.405383 1.410380 0.171433 -1.209246
2014-12-31 0.136524 0.085642 0.397900 1.482374 0.171910 -1.274350
... ... ... ... ... ... ...
2025-07-28 0.243927 0.125585 0.356152 0.951426 0.171541 -0.848630
2025-07-29 0.241618 0.124500 0.353822 0.950379 0.170303 -0.840622
2025-07-30 0.243471 0.125224 0.351347 0.952171 0.173121 -0.845333
2025-07-31 0.256519 0.128111 0.359725 0.993885 0.213386 -0.951626
2025-08-01 0.252816 0.125553 0.360076 0.997509 0.225921 -0.961876

2767 rows × 6 columns

securities_weights
bees3 sdia4 sled4 brsr6 klbn4 hype3 ngrd3 scar3 goll54 cbav3 ... ggbr4 bbdc4 smft3 bpan4 brpr3 engi11 aedu11 rumo3 espa3 cdi
date
2014-12-25 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.005727 0.0 0.0 0.0 0.0 -1.110538
2014-12-26 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.005892 0.0 0.0 0.0 0.0 -1.102876
2014-12-29 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.005899 0.0 0.0 0.0 0.0 -1.156119
2014-12-30 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.005845 0.0 0.0 0.0 0.0 -1.209246
2014-12-31 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.005861 0.0 0.0 0.0 0.0 -1.274350
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 -0.848630
2025-07-29 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 -0.840622
2025-07-30 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 -0.845333
2025-07-31 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 -0.951626
2025-08-01 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 -0.961876

2767 rows × 370 columns

cota_gross
date
2014-12-25     1.000000
2014-12-26     1.010787
2014-12-29     1.013382
2014-12-30     1.019257
2014-12-31     1.014341
                ...    
2025-07-28     9.865504
2025-07-29     9.969092
2025-07-30     9.918510
2025-07-31     9.900102
2025-08-01    10.051309
Length: 2767, dtype: float64
cota_net
date
2014-12-25     1.000000
2014-12-26     1.010786
2014-12-29     1.013382
2014-12-30     1.019256
2014-12-31     1.014339
                ...    
2025-07-28     9.842947
2025-07-29     9.946286
2025-07-30     9.895808
2025-07-31     9.877391
2025-08-01    10.028239
Length: 2767, dtype: float64
running sizing...

clusters_weights_resampled_sized
equity_av ust10yfut_av xaufut_av btcfut_av cdi
2014-12-25 NaN NaN NaN NaN NaN
2015-01-22 0.047421 0.062130 0.063804 0.075734 -0.149089
2015-01-23 0.470247 0.626793 0.632546 0.756620 -1.486206
2015-01-29 0.527125 0.627605 0.618857 0.743848 -1.517435
2015-02-26 0.525528 0.600916 0.596878 0.844805 -1.568127
... ... ... ... ... ...
2025-03-27 0.431603 0.518505 0.439478 0.470872 -0.860459
2025-04-24 0.412581 0.514205 0.426734 0.466285 -0.819805
2025-05-29 0.431313 0.532560 0.451052 0.498544 -0.913468
2025-06-26 0.442269 0.558364 0.471205 0.512533 -0.984371
2025-07-31 0.453474 0.569482 0.477270 0.532397 -1.032623

141 rows × 5 columns

clusters_weights_sized
equity_av ust10yfut_av xaufut_av btcfut_av cdi
date
2014-12-25 NaN NaN NaN NaN 1.000000
2014-12-26 NaN NaN NaN NaN 1.000000
2014-12-29 NaN NaN NaN NaN 1.000000
2014-12-30 NaN NaN NaN NaN 1.000000
2014-12-31 NaN NaN NaN NaN 1.000000
... ... ... ... ... ...
2025-07-28 0.435125 0.552859 0.477250 0.528582 -0.993815
2025-07-29 0.433152 0.552458 0.474455 0.523850 -0.983915
2025-07-30 0.438489 0.552500 0.471357 0.527201 -0.989547
2025-07-31 0.453474 0.569482 0.477270 0.532397 -1.032623
2025-08-01 0.447208 0.571278 0.477383 0.521781 -1.017649

2767 rows × 5 columns

clusters_weights_sized (pack_only)
spx_brl_hedged btcusd_brl_hedged xauusd_brl_hedged ust10y lo_timing new cdi
date
2014-12-25 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-26 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-29 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-30 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-31 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
... ... ... ... ... ... ...
2025-07-28 0.246849 0.127089 0.360417 0.962822 0.173595 -0.870772
2025-07-29 0.244613 0.126043 0.358207 0.962158 0.172414 -0.863435
2025-07-30 0.246637 0.126852 0.355915 0.964552 0.175372 -0.869328
2025-07-31 0.256519 0.128111 0.359725 0.993885 0.213386 -0.951626
2025-08-01 0.252958 0.125623 0.360278 0.998069 0.226048 -0.962976

2767 rows × 6 columns

securities_weights
bees3 sdia4 sled4 brsr6 klbn4 hype3 ngrd3 scar3 goll54 cbav3 ... ggbr4 bbdc4 smft3 bpan4 brpr3 engi11 aedu11 rumo3 espa3 cdi
date
2014-12-25 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-26 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-29 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-30 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-31 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.870772
2025-07-29 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.863435
2025-07-30 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.869328
2025-07-31 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.951626
2025-08-01 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.962976

2767 rows × 370 columns

cota_gross_sized
date
2014-12-25    1.000000
2014-12-26    1.000435
2014-12-29    1.000869
2014-12-30    1.001305
2014-12-31    1.001740
                ...   
2025-07-28    9.131464
2025-07-29    9.228433
2025-07-30    9.180965
2025-07-31    9.163638
2025-08-01    9.303597
Length: 2767, dtype: float64
cota_net_sized
date
2014-12-25    1.000000
2014-12-26    1.000435
2014-12-29    1.000869
2014-12-30    1.001305
2014-12-31    1.001740
                ...   
2025-07-28    9.102258
2025-07-29    9.198907
2025-07-30    9.151580
2025-07-31    9.134285
2025-08-01    9.273784
Length: 2767, dtype: float64
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 5.4 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.3
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -3.1 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -11.7
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.4
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.4
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 6.0 -0.7 1.6 0.4 1.3 -0.0 0.9 -3.0 1.8 5.5 -0.5 0.9 14.2
2016 2.8 8.9 2.5 3.9 -0.4 11.7 4.4 -2.6 1.9 0.5 -6.8 5.2 32.0
2017 5.4 8.7 -1.6 5.7 10.1 0.6 4.9 7.3 -0.9 2.8 3.1 6.4 52.5
2018 0.2 -3.6 -2.2 0.3 -1.7 -3.1 2.0 0.8 -2.5 -0.9 -0.1 5.8 -5.0
2019 6.2 0.9 3.6 3.9 8.2 12.8 0.0 7.1 -3.7 2.5 -1.0 4.6 45.1
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.4
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 5.4 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.3
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -3.2 1.2 1.9 -4.9 -1.6 -8.6 4.9 -2.9 -4.6 1.8 3.0 0.2 -12.8
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.7 6.2 27.4
2024 -0.5 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.2
2025 5.6 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.5
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.2 0.3 -1.3 4.1 2.6 3.1 8.2 0.4 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.2 9.5
2022 -4.6 1.2 1.9 -4.9 -1.6 -8.6 4.9 -2.9 -4.6 1.8 3.0 0.2 -14.2
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.7 6.2 27.4
2024 -0.5 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.2
2025 5.6 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.5
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 1.3 -0.7 1.6 0.4 1.3 -0.0 0.9 -3.0 1.8 5.6 -0.5 0.9 9.6
2016 2.8 9.0 2.5 3.9 -0.5 10.2 4.4 -2.6 1.9 0.5 -6.8 5.3 30.6
2017 5.4 8.7 -1.6 5.7 10.1 0.6 4.9 7.3 -0.9 2.8 3.1 6.4 52.5
2018 0.2 -3.6 -2.2 0.3 -1.7 -3.1 2.0 0.8 -2.5 -0.9 -0.1 5.8 -5.0
2019 6.2 0.9 3.6 3.9 8.2 12.8 0.0 7.1 -3.7 2.5 -1.0 4.7 45.2
2020 8.3 0.3 -1.3 4.1 2.6 3.1 8.2 0.4 -3.6 0.4 5.1 7.9 35.5
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.2 9.5
2022 -4.6 1.2 1.9 -4.9 -1.6 -8.6 4.9 -2.9 -4.6 1.8 3.0 0.2 -14.2
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.7 6.2 27.4
2024 -0.5 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.2
2025 5.6 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.5
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 10.1 5.8 3.2 -3.0 0.7 3.6 5.3 6.4 2.4 -4.3 0.1 3.6 33.9
2016 4.6 -0.6 -1.5 2.9 -0.6 -1.3 3.4 2.8 -2.0 5.2 0.5 3.3 16.7
2017 5.1 9.1 -2.0 2.2 -2.1 -0.4 2.4 -1.0 2.8 3.2 2.9 2.3 24.5
2018 -0.9 10.1 3.5 0.7 8.6 7.6 0.3 6.7 -0.1 -3.8 1.4 3.7 37.8
2019 3.1 3.0 0.1 1.5 8.9 0.0 2.2 1.7 -3.3 5.7 7.4 6.4 36.7
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.2 2.7 3.3 4.1 4.5 1.5 -0.3 0.3 -2.3 1.7 5.6 1.9 23.2
2023 1.6 3.1 -2.1 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.8
2024 2.9 -2.6 0.1 2.0 -1.6 6.6 0.3 6.3 2.4 2.6 6.4 2.9 28.3
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 5.9 6.4 8.5 -0.7 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 22.5
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 5.7 -0.8 4.7 36.5
2022 0.2 2.7 3.3 4.1 4.5 1.5 -0.3 0.3 -2.3 1.7 5.6 1.9 23.2
2023 1.6 3.1 -2.1 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.8
2024 2.9 -2.6 0.1 2.0 -1.6 6.6 0.3 6.3 2.4 2.6 6.4 2.9 28.3
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 10.1 5.9 3.2 -3.0 0.7 3.6 5.3 6.4 2.4 -4.4 0.1 3.6 33.9
2016 4.6 -0.6 -1.5 2.9 -0.6 -1.3 3.4 2.8 -2.0 5.2 0.5 3.3 16.7
2017 5.1 9.1 -2.0 2.2 -2.1 -0.4 2.4 -1.0 2.8 3.2 2.9 2.3 24.5
2018 -0.9 10.1 3.5 0.7 8.7 3.6 0.3 6.7 -0.1 -3.8 1.4 3.7 33.9
2019 3.1 3.0 0.1 1.5 8.9 0.0 2.2 1.7 -3.6 5.7 7.4 6.4 36.4
2020 5.9 6.4 8.5 -0.7 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 22.5
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 5.7 -0.8 4.7 36.5
2022 0.2 2.7 3.3 4.1 4.5 1.5 -0.3 0.3 -2.3 1.7 5.6 1.9 23.2
2023 1.6 3.1 -2.1 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.8
2024 2.9 -2.6 0.1 2.0 -1.6 6.6 0.3 6.3 2.4 2.6 6.4 2.9 28.3
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
Total: 3.9239680767059326
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 4.9 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.2
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.2 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.8
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 1.9 10.8 1.8 3.8 -1.8 10.7 4.9 -3.2 -2.1 2.6 0.1 9.5 39.0
2017 2.5 9.7 -4.7 6.5 11.6 0.9 3.7 9.5 -0.5 3.9 2.9 8.4 54.4
2018 5.6 -5.2 -3.7 -0.4 -2.0 -0.2 1.1 0.7 -2.2 -1.4 2.0 8.7 3.0
2019 7.2 -0.9 1.3 3.7 9.7 15.4 -0.8 8.7 -5.5 -0.7 0.4 6.7 45.2
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.3
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 5.4 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.3
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -3.1 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -11.7
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.4
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.4
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 2.8 8.9 2.5 3.9 -0.4 11.7 4.4 -2.6 1.9 0.5 -6.8 5.2 32.0
2017 5.4 8.7 -1.6 5.7 10.1 0.6 4.9 7.3 -0.9 2.8 3.1 6.4 52.5
2018 0.2 -3.6 -2.2 0.3 -1.7 -3.1 2.0 0.8 -2.5 -0.9 -0.1 5.8 -5.0
2019 6.2 0.9 3.6 3.9 8.2 12.8 0.0 7.1 -3.7 2.5 -1.0 4.6 45.1
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 1.5 – – – – 20.4
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 0.8 – – – – 14.9
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.5 1.3 1.9 -1.6 1.0 -2.7 2.5 0.5 0.0 1.4 0.5 0.7 5.0
2023 5.0 -2.4 2.2 1.5 0.6 3.0 1.1 -1.1 -0.0 1.6 4.8 5.7 22.0
2024 -1.6 4.6 5.7 -2.2 1.0 -0.0 3.0 1.1 3.2 0.9 1.9 -1.8 15.8
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 0.8 – – – – 14.9
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 6.4 1.0 -0.7 2.3 1.9 2.0 7.9 0.0 -4.3 0.5 3.8 6.3 27.1
2021 -0.6 2.5 2.9 1.1 0.9 -0.3 2.3 -0.0 -2.2 1.6 -1.4 1.7 8.5
2022 -1.1 1.3 1.9 -1.6 1.0 -2.7 2.5 0.5 0.0 1.4 0.5 0.7 4.4
2023 5.0 -2.4 2.2 1.5 0.6 3.0 1.1 -1.1 -0.0 1.6 4.8 5.7 22.0
2024 -1.6 4.6 5.7 -2.2 1.0 -0.0 3.0 1.1 3.2 0.9 1.9 -1.8 15.8
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 0.8 – – – – 14.9
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 1.8 8.0 1.7 3.0 -0.9 8.3 3.8 -1.9 -0.8 2.0 -0.8 6.7 30.9
2017 2.5 7.3 -2.8 4.9 8.8 0.9 3.1 7.0 -0.2 2.9 2.5 6.1 43.0
2018 3.5 -3.6 -2.4 -0.1 -1.5 -0.5 1.1 0.7 -1.5 -0.6 1.3 6.2 2.6
2019 5.3 -0.3 1.3 3.0 7.3 11.2 -0.3 6.4 -3.7 0.1 0.3 4.9 35.5
2020 6.4 1.0 -0.7 2.3 1.9 2.0 7.9 0.0 -4.3 0.5 3.8 6.3 27.1
2021 -0.6 2.5 2.9 1.1 0.9 -0.3 2.3 -0.0 -2.2 1.6 -1.4 1.7 8.5
2022 -1.1 1.3 1.9 -1.6 1.0 -2.7 2.5 0.5 0.0 1.4 0.5 0.7 4.4
2023 5.0 -2.4 2.2 1.5 0.6 3.0 1.1 -1.1 -0.0 1.6 4.8 5.7 22.0
2024 -1.6 4.6 5.7 -2.2 1.0 -0.0 3.0 1.1 3.2 0.9 1.9 -1.8 15.8
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 0.8 – – – – 14.9
portfolio_name:
- wealth

risk_target:
- beta_global: 1
- alfa: 1

allocation method:
- vol

running allocation...

clusters_weights_resampled
beta alfa
2018-12-27 0.702098 0.572327
2019-01-31 0.690059 0.584839
2019-02-28 0.695379 0.584341
2019-03-28 0.672082 0.601721
2019-04-25 0.656936 0.615795
... ... ...
2025-03-27 0.703975 0.585678
2025-04-24 0.688190 0.599620
2025-05-29 0.712339 0.595174
2025-06-26 0.720790 0.604972
2025-07-31 0.732803 0.622453

80 rows × 2 columns

clusters_weights
beta alfa cdi
date
2018-12-27 0.702098 0.572327 -0.274425
2018-12-28 0.703238 0.568249 -0.271486
2018-12-31 0.703440 0.567860 -0.271300
2019-01-01 0.703415 0.567907 -0.271322
2019-01-02 0.703899 0.563587 -0.267487
... ... ... ...
2025-07-28 0.715616 0.613054 -0.328669
2025-07-29 0.715232 0.610089 -0.325321
2025-07-30 0.711964 0.612305 -0.324269
2025-07-31 0.732803 0.622453 -0.355256
2025-08-01 0.733329 0.618760 -0.352089

1722 rows × 3 columns

clusters_weights (pack_only)
usdbrlfut spx_brl_hedged dif3yfut btcusd_brl_hedged smal11_excdi xauusd_brl_hedged ls new ust10y lo_timing new cdi
date
2018-12-27 0.017910 -0.020841 0.282954 -0.004203 0.013753 0.557302 0.575739 1.940878 0.208377 -2.257252
2018-12-28 0.006921 -0.019396 0.278376 -0.006989 0.063028 0.552192 0.571372 1.910954 0.207337 -2.215471
2018-12-31 0.000809 -0.017603 0.278216 -0.010191 0.062898 0.554376 0.570940 1.918488 0.209193 -2.225203
2019-01-01 -0.000369 -0.015779 0.278238 -0.012545 0.063232 0.554313 0.570987 1.920503 0.208958 -2.226438
2019-01-02 0.000000 -0.015958 0.278418 -0.007176 0.063261 0.544424 0.563888 1.923224 0.209798 -2.218201
... ... ... ... ... ... ... ... ... ... ...
2025-07-28 -0.021340 0.231017 0.011105 0.124836 -0.065385 0.239001 0.651552 0.450843 0.171860 -0.869109
2025-07-29 -0.005268 0.226817 0.214999 0.123691 -0.064978 0.183701 0.648252 0.450105 0.170529 -0.803095
2025-07-30 -0.008798 0.229408 0.203266 0.124817 -0.064001 0.089526 0.652165 0.637660 0.172558 -0.906133
2025-07-31 0.022993 0.252889 -0.143898 0.126298 -0.062783 0.073533 0.666675 0.764739 0.218918 -1.103051
2025-08-01 -0.024436 0.243334 0.175175 0.110774 -0.061590 0.163992 0.663033 1.024103 0.231945 -1.437180

1722 rows × 10 columns

securities_weights
sdia4 hype3 besp4 bnca3 grnd3 alpa4 alsc3 fras3 sanb11 mglu3 ... usim5 pard3 aper3 mult3 bbdc4 smft3 brpr3 aedu11 espa3 cdi
date
2018-12-27 0.0 -0.007959 0.0 0.0 0.005465 0.002673 -0.011378 0.000000 0.014323 0.000758 ... -0.005114 -0.014522 0.0 -0.007530 -0.000796 0.000000 -0.018137 0.0 0.0 -1.670884
2018-12-28 0.0 -0.006044 0.0 0.0 0.018316 0.010725 -0.012028 0.000000 0.007070 -0.008430 ... -0.007396 -0.011263 0.0 -0.008900 -0.005534 0.000000 0.000000 0.0 0.0 -1.711949
2018-12-31 0.0 -0.006039 0.0 0.0 0.018378 0.010717 -0.012019 0.000000 0.007065 -0.008424 ... -0.007391 -0.011254 0.0 -0.008893 -0.005530 0.000000 0.000000 0.0 0.0 -1.722062
2019-01-01 0.0 -0.006040 0.0 0.0 0.018370 0.010718 -0.012020 0.000000 0.007065 -0.008425 ... -0.007391 -0.011255 0.0 -0.008894 -0.005530 0.000000 0.000000 0.0 0.0 -1.723256
2019-01-02 0.0 -0.006141 0.0 0.0 0.018273 0.010863 -0.012177 0.000000 0.007460 -0.008558 ... -0.007712 -0.011664 0.0 -0.009030 -0.005697 0.000000 0.000000 0.0 0.0 -1.721967
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 -0.016830 0.0 0.0 0.021571 -0.003632 0.000000 0.012426 0.009018 0.005933 ... -0.021164 0.000000 0.0 -0.008427 -0.001069 0.002483 0.000000 0.0 0.0 -0.151731
2025-07-29 0.0 -0.016609 0.0 0.0 0.021432 -0.003624 0.000000 0.012550 0.008934 0.005707 ... -0.021093 0.000000 0.0 -0.008473 -0.001056 0.002446 0.000000 0.0 0.0 -0.092834
2025-07-30 0.0 -0.016704 0.0 0.0 0.021558 -0.003667 0.000000 0.012781 0.008980 0.005981 ... -0.020719 0.000000 0.0 -0.008513 -0.001069 0.002473 0.000000 0.0 0.0 -0.197975
2025-07-31 0.0 -0.016792 0.0 0.0 0.024142 -0.003738 0.000000 0.012964 0.009085 0.005857 ... -0.022318 0.000000 0.0 -0.008617 -0.001080 0.002473 0.000000 0.0 0.0 -0.381629
2025-08-01 0.0 -0.013315 0.0 0.0 0.021341 -0.010651 0.000000 0.012004 0.013166 0.002100 ... -0.011762 0.000000 0.0 -0.009793 -0.001868 -0.003822 0.000000 0.0 0.0 -0.659373

1722 rows × 373 columns

cota_gross
date
2018-12-27    1.000000
2018-12-28    1.010756
2018-12-31    1.011383
2019-01-01    1.011300
2019-01-02    1.025733
                ...   
2025-07-28    7.831819
2025-07-29    7.911016
2025-07-30    7.935254
2025-07-31    7.933287
2025-08-01    8.003103
Length: 1722, dtype: float64
cota_net
date
2018-12-27    1.000000
2018-12-28    1.010757
2018-12-31    1.011384
2019-01-01    1.011300
2019-01-02    1.025733
                ...   
2025-07-28    7.828651
2025-07-29    7.907816
2025-07-30    7.932047
2025-07-31    7.930082
2025-08-01    7.999869
Length: 1722, dtype: float64
running sizing...

clusters_weights_resampled_sized
beta alfa cdi
2018-12-27 NaN NaN NaN
2019-01-24 0.069618 0.056508 -0.026127
2019-01-25 0.698681 0.560427 -0.259108
2019-01-31 0.690059 0.584839 -0.274898
2019-02-28 0.695379 0.584341 -0.279721
... ... ... ...
2025-03-27 0.703975 0.585678 -0.289653
2025-04-24 0.688190 0.599620 -0.287810
2025-05-29 0.712339 0.595174 -0.307513
2025-06-26 0.720790 0.604972 -0.325762
2025-07-31 0.732803 0.622453 -0.355256

107 rows × 3 columns

clusters_weights_sized
beta alfa cdi
date
2018-12-27 NaN NaN 1.000000
2018-12-28 NaN NaN 1.000000
2018-12-31 NaN NaN 1.000000
2019-01-01 NaN NaN 1.000000
2019-01-02 NaN NaN 1.000000
... ... ... ...
2025-07-28 0.718497 0.615522 -0.334018
2025-07-29 0.718213 0.612631 -0.330844
2025-07-30 0.715051 0.614961 -0.330012
2025-07-31 0.732803 0.622453 -0.355256
2025-08-01 0.733471 0.618880 -0.352352

1722 rows × 3 columns

clusters_weights_sized (pack_only)
usdbrlfut spx_brl_hedged dif3yfut btcusd_brl_hedged smal11_excdi xauusd_brl_hedged ls new ust10y lo_timing new cdi
date
2018-12-27 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2018-12-28 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2018-12-31 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2019-01-01 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2019-01-02 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
... ... ... ... ... ... ... ... ... ... ...
2025-07-28 -0.021426 0.231947 0.011150 0.125338 -0.065648 0.239963 0.654175 0.452658 0.172552 -0.876633
2025-07-29 -0.005290 0.227762 0.215895 0.124207 -0.065249 0.184466 0.650954 0.451981 0.171239 -0.810609
2025-07-30 -0.008836 0.230403 0.204147 0.125358 -0.064278 0.089914 0.654993 0.640425 0.173306 -0.914400
2025-07-31 0.022993 0.252889 -0.143898 0.126298 -0.062783 0.073533 0.666675 0.764739 0.218918 -1.103051
2025-08-01 -0.024441 0.243381 0.175209 0.110795 -0.061602 0.164024 0.663162 1.024302 0.231990 -1.437653

1722 rows × 10 columns

securities_weights
sdia4 hype3 besp4 bnca3 grnd3 alpa4 alsc3 fras3 sanb11 mglu3 ... usim5 pard3 aper3 mult3 bbdc4 smft3 brpr3 aedu11 espa3 cdi
date
2018-12-27 0.0 0.000000 0.0 0.0 0.000000 0.000000 0.0 0.000000 0.000000 0.000000 ... 0.000000 0.0 0.0 0.000000 0.000000 0.000000 0.0 0.0 0.0 1.000000
2018-12-28 0.0 0.000000 0.0 0.0 0.000000 0.000000 0.0 0.000000 0.000000 0.000000 ... 0.000000 0.0 0.0 0.000000 0.000000 0.000000 0.0 0.0 0.0 1.000000
2018-12-31 0.0 0.000000 0.0 0.0 0.000000 0.000000 0.0 0.000000 0.000000 0.000000 ... 0.000000 0.0 0.0 0.000000 0.000000 0.000000 0.0 0.0 0.0 1.000000
2019-01-01 0.0 0.000000 0.0 0.0 0.000000 0.000000 0.0 0.000000 0.000000 0.000000 ... 0.000000 0.0 0.0 0.000000 0.000000 0.000000 0.0 0.0 0.0 1.000000
2019-01-02 0.0 0.000000 0.0 0.0 0.000000 0.000000 0.0 0.000000 0.000000 0.000000 ... 0.000000 0.0 0.0 0.000000 0.000000 0.000000 0.0 0.0 0.0 1.000000
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 -0.016898 0.0 0.0 0.021658 -0.003646 0.0 0.012476 0.009054 0.005957 ... -0.021249 0.0 0.0 -0.008461 -0.001073 0.002493 0.0 0.0 0.0 -0.156367
2025-07-29 0.0 -0.016678 0.0 0.0 0.021521 -0.003639 0.0 0.012602 0.008971 0.005731 ... -0.021181 0.0 0.0 -0.008508 -0.001060 0.002456 0.0 0.0 0.0 -0.097388
2025-07-30 0.0 -0.016777 0.0 0.0 0.021652 -0.003683 0.0 0.012836 0.009019 0.006007 ... -0.020808 0.0 0.0 -0.008550 -0.001074 0.002484 0.0 0.0 0.0 -0.203170
2025-07-31 0.0 -0.016792 0.0 0.0 0.024142 -0.003738 0.0 0.012964 0.009085 0.005857 ... -0.022318 0.0 0.0 -0.008617 -0.001080 0.002473 0.0 0.0 0.0 -0.381629
2025-08-01 0.0 -0.013318 0.0 0.0 0.021345 -0.010653 0.0 0.012006 0.013168 0.002100 ... -0.011765 0.0 0.0 -0.009795 -0.001869 -0.003822 0.0 0.0 0.0 -0.659695

1722 rows × 373 columns

cota_gross_sized
date
2018-12-27    1.000000
2018-12-28    1.000246
2018-12-31    1.000492
2019-01-01    1.000492
2019-01-02    1.000739
                ...   
2025-07-28    7.266929
2025-07-29    7.340694
2025-07-30    7.363262
2025-07-31    7.361410
2025-08-01    7.426194
Length: 1722, dtype: float64
cota_net_sized
date
2018-12-27    1.000000
2018-12-28    1.000246
2018-12-31    1.000492
2019-01-01    1.000492
2019-01-02    1.000739
                ...   
2025-07-28    7.249036
2025-07-29    7.322619
2025-07-30    7.345133
2025-07-31    7.343289
2025-08-01    7.407913
Length: 1722, dtype: float64
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 4.6 -0.6 -1.5 2.9 -0.6 -1.3 3.4 2.8 -2.0 5.2 0.5 3.3 16.7
2017 5.1 9.1 -2.0 2.2 -2.1 -0.4 2.4 -1.0 2.8 3.2 2.9 2.3 24.5
2018 -0.9 10.1 3.5 0.7 8.6 7.6 0.3 6.7 -0.1 -3.8 1.4 3.7 37.8
2019 3.1 3.0 0.1 1.5 8.9 0.0 2.2 1.7 -3.3 5.7 7.4 6.4 36.7
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.3 0.3 – – – – 9.1
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 4.9 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.2
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.2 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.8
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 1.9 10.8 1.8 3.8 -1.8 10.7 4.9 -3.2 -2.1 2.6 0.1 9.5 39.0
2017 2.5 9.7 -4.7 6.5 11.6 0.9 3.7 9.5 -0.5 3.9 2.9 8.4 54.4
2018 5.6 -5.2 -3.7 -0.4 -2.0 -0.2 1.1 0.7 -2.2 -1.4 2.0 8.7 3.0
2019 7.2 -0.9 1.3 3.7 9.7 15.4 -0.8 8.7 -5.5 -0.7 0.4 6.7 45.2
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 1.0 – – – – 17.3
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 3.2 -0.2 3.0 2.1 3.9 5.3 -2.1 0.9 – – – – 16.1
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.3 2.5 3.2 1.0 3.6 -1.3 1.4 0.4 -1.1 1.5 3.0 1.9 15.8
2023 4.3 -0.8 -1.0 0.2 0.0 8.5 -1.1 2.0 4.1 4.3 6.4 9.0 35.9
2024 -1.1 2.9 5.5 -0.2 -0.1 3.9 2.4 7.0 3.9 2.2 5.4 -0.7 31.1
2025 3.3 -0.2 3.0 2.1 3.9 5.3 -2.1 0.9 – – – – 16.2
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 9.0 4.7 2.8 1.0 1.8 1.8 8.7 -2.1 -5.2 0.3 3.5 8.2 34.5
2021 -1.3 5.9 4.2 5.2 0.9 -1.9 3.7 5.3 2.5 6.3 -2.9 4.1 32.0
2022 -0.8 2.5 3.2 1.0 3.6 -1.3 1.4 0.4 -1.1 1.5 3.0 1.9 15.3
2023 4.3 -0.8 -1.0 0.2 0.0 8.5 -1.1 2.0 4.1 4.3 6.4 9.0 35.9
2024 -1.1 2.9 5.5 -0.2 -0.1 3.9 2.4 7.0 3.9 2.2 5.4 -0.7 31.1
2025 3.3 -0.2 3.0 2.1 3.9 5.3 -2.1 0.9 – – – – 16.2
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 4.0 6.3 -0.2 4.1 -1.9 5.7 5.2 -0.7 -3.1 4.8 0.1 8.1 32.4
2017 4.7 12.3 -4.7 5.5 5.8 0.1 3.8 5.2 1.3 4.5 3.7 6.9 49.1
2018 2.9 2.7 -0.3 0.0 4.1 4.7 0.7 4.7 -1.6 -3.6 2.1 8.1 24.5
2019 6.7 1.0 0.8 3.3 11.8 9.7 1.0 6.2 -5.8 3.5 5.3 8.3 51.8
2020 9.0 4.7 2.8 1.0 1.8 1.8 8.7 -2.1 -5.2 0.3 3.5 8.2 34.5
2021 -1.3 5.9 4.2 5.2 0.9 -1.9 3.7 5.3 2.5 6.3 -2.9 4.1 32.0
2022 -0.8 2.5 3.2 1.0 3.6 -1.3 1.4 0.4 -1.1 1.5 3.0 1.9 15.3
2023 4.3 -0.8 -1.0 0.2 0.0 8.5 -1.1 2.0 4.1 4.3 6.4 9.0 35.9
2024 -1.1 2.9 5.5 -0.2 -0.1 3.9 2.4 7.0 3.9 2.2 5.4 -0.7 31.1
2025 3.3 -0.2 3.0 2.1 3.9 5.3 -2.1 0.9 – – – – 16.2
No description has been provided for this image
Out[30]:
usdbrlfut dif3yfut spx_brl_hedged btcusd_brl_hedged tc_cosmos_fic smal11_excdi xauusd_brl_hedged ls new ust10y lo_timing new cdi
2025-07 -0.15 -0.37 0.36 1.17 -0.06 0.22 -0.31 0.54 -0.87 -1.18 -1.4
Total: 213.67446446418762

Exporting Prepare¶

Previdência¶

Total: 11.022440910339355
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.3 0.3 3.4 0.6 1.1 0.2 -0.8 0.9 0.6 1.5 -0.8 -0.0 6.7
2023 0.8 1.6 2.6 1.7 2.7 1.6 0.7 0.0 -1.1 -1.1 2.9 2.2 14.6
2024 -0.2 0.7 0.0 -1.8 1.3 -0.7 1.6 0.6 -0.5 -0.3 -0.5 -2.3 -2.1
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 1.1 0.9 -3.8 1.1 3.5 1.6 2.7 -1.1 -1.1 -0.4 1.8 4.3 10.6
2021 -0.8 -2.2 -0.6 1.5 0.5 -0.0 -0.6 -0.4 0.2 -1.9 3.4 1.2 0.3
2022 -0.5 0.3 3.4 0.6 1.1 0.2 -0.8 0.9 0.6 1.5 -0.8 -0.0 6.5
2023 0.8 1.6 2.6 1.7 2.7 1.6 0.7 0.0 -1.1 -1.1 2.9 2.2 14.6
2024 -0.2 0.7 0.0 -1.8 1.3 -0.7 1.6 0.6 -0.5 -0.3 -0.5 -2.3 -2.1
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2019 2.7 0.5 0.9 1.2 2.7 3.1 1.0 0.0 2.6 2.8 -1.5 1.4 17.4
2020 1.1 0.9 -3.8 1.1 3.5 1.6 2.7 -1.1 -1.1 -0.4 1.8 4.3 10.6
2021 -0.8 -2.2 -0.6 1.5 0.5 -0.0 -0.6 -0.4 0.2 -1.9 3.4 1.2 0.3
2022 -0.5 0.3 3.4 0.6 1.1 0.2 -0.8 0.9 0.6 1.5 -0.8 -0.0 6.5
2023 0.8 1.6 2.6 1.7 2.7 1.6 0.7 0.0 -1.1 -1.1 2.9 2.2 14.6
2024 -0.2 0.7 0.0 -1.8 1.3 -0.7 1.6 0.6 -0.5 -0.3 -0.5 -2.3 -2.1
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 -0.3 – – – – 5.6
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.3 -1.5 6.2 2.6 -1.3 3.2 3.2 3.6 -1.9 -0.5 6.6 1.9 21.8
2023 -2.1 0.3 2.7 4.1 5.4 6.3 -1.5 -2.3 2.5 0.6 2.6 3.7 22.3
2024 -1.2 -0.6 0.4 5.2 -0.5 1.9 -0.8 1.0 1.7 1.5 3.9 5.3 17.8
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 -0.3 – – – – 5.6
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.5 0.1 0.1 -4.9 1.3 0.2 3.5 -4.1 -0.5 -0.8 -3.1 5.8 -1.9
2021 -1.0 4.7 0.9 -0.7 0.9 -0.7 1.6 6.4 2.6 6.3 -1.7 2.5 21.8
2022 -0.3 -1.5 6.2 2.6 -1.3 3.2 3.2 3.6 -1.9 -0.5 6.6 1.9 21.8
2023 -2.1 0.3 2.7 4.1 5.4 6.3 -1.5 -2.3 2.5 0.6 2.6 3.7 22.3
2024 -1.2 -0.6 0.4 5.2 -0.5 1.9 -0.8 1.0 1.7 1.5 3.9 5.3 17.8
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 -0.3 – – – – 5.6
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2019 2.8 -0.4 -1.6 -1.5 1.8 8.2 2.0 -1.5 1.8 5.0 0.6 -0.4 16.8
2020 0.5 0.1 0.1 -4.9 1.3 0.2 3.5 -4.1 -0.5 -0.8 -3.1 5.8 -1.9
2021 -1.0 4.7 0.9 -0.7 0.9 -0.7 1.6 6.4 2.6 6.3 -1.7 2.5 21.8
2022 -0.3 -1.5 6.2 2.6 -1.3 3.2 3.2 3.6 -1.9 -0.5 6.6 1.9 21.8
2023 -2.1 0.3 2.7 4.1 5.4 6.3 -1.5 -2.3 2.5 0.6 2.6 3.7 22.3
2024 -1.2 -0.6 0.4 5.2 -0.5 1.9 -0.8 1.0 1.7 1.5 3.9 5.3 17.8
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 -0.3 – – – – 5.6
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 -0.2 – – – – 6.3
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.5 -1.1 5.9 2.0 -0.5 2.1 1.7 2.8 -1.3 0.2 4.0 1.1 16.4
2023 -1.3 0.8 2.9 3.5 4.9 5.0 -0.9 -1.8 1.0 -0.3 3.1 3.5 20.4
2024 -1.2 -0.3 0.1 2.5 0.1 0.8 0.1 0.9 0.8 0.8 2.3 2.4 9.3
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 -0.2 – – – – 6.3
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.8 0.4 -1.6 -3.0 2.6 0.9 3.8 -3.5 -0.9 -0.8 -1.3 6.2 3.6
2021 -1.1 2.1 0.4 0.2 0.8 -0.5 0.8 4.2 1.8 3.3 0.4 2.2 14.6
2022 -0.6 -1.1 5.9 2.0 -0.5 2.1 1.7 2.8 -1.3 0.2 4.0 1.1 16.3
2023 -1.3 0.8 2.9 3.5 4.9 5.0 -0.9 -1.8 1.0 -0.3 3.1 3.5 20.4
2024 -1.2 -0.3 0.1 2.5 0.1 0.8 0.1 0.9 0.8 0.8 2.3 2.4 9.3
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 -0.2 – – – – 6.3
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2019 3.2 -0.2 -0.7 -0.5 2.5 7.2 1.8 -1.1 2.4 4.8 -0.4 0.4 19.4
2020 0.8 0.4 -1.6 -3.0 2.6 0.9 3.8 -3.5 -0.9 -0.8 -1.3 6.2 3.6
2021 -1.1 2.1 0.4 0.2 0.8 -0.5 0.8 4.2 1.8 3.3 0.4 2.2 14.6
2022 -0.6 -1.1 5.9 2.0 -0.5 2.1 1.7 2.8 -1.3 0.2 4.0 1.1 16.3
2023 -1.3 0.8 2.9 3.5 4.9 5.0 -0.9 -1.8 1.0 -0.3 3.1 3.5 20.4
2024 -1.2 -0.3 0.1 2.5 0.1 0.8 0.1 0.9 0.8 0.8 2.3 2.4 9.3
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 -0.2 – – – – 6.3

Exporting¶

Out[37]:
2025-08-01 essencial prev
bitfut 0.1108 0.000000
bova11 -0.0000 0.000000
cdi 0.6300 0.500000
cosmos 0.1500 0.000000
dif3yfut 0.1752 0.000000
dif8yfut 0.0000 0.510701
gold11 0.1640 0.000000
ibovfut 0.0000 0.000000
lo_timing new 0.2319 0.000000
ls new 0.6630 0.000000
ntnb5y_idka 0.0000 0.500000
smal11 -0.0616 0.000000
spxfut 0.2433 0.000000
usdbrlfut -0.0244 0.000000
ust10yfut 1.0241 0.000000
Out[38]:
2025-07-31 essencial prev
bitfut 0.1263 0.000000
bova11 -0.0000 0.000000
cdi 0.6800 0.500000
cosmos 0.1500 0.000000
dif3yfut -0.1439 0.000000
dif8yfut 0.0000 -0.495322
gold11 0.0735 0.000000
ibovfut 0.0000 0.000000
lo_timing new 0.2189 0.000000
ls new 0.6667 0.000000
ntnb5y_idka 0.0000 0.500000
smal11 -0.0628 0.000000
spxfut 0.2529 0.000000
usdbrlfut 0.0230 0.000000
ust10yfut 0.7647 0.000000
Total: 229.97473621368408
Total: 246.539972782135